Real Statistics Release 5.4

I am pleased to announce Release 5.4 of the Real Statistics Resource Pack. The new release is now available for free download at Download Resource Pack for Excel 2007, 2010, 2011, 2013 and 2016 (Windows and Mac version) environments.

The various examples workbooks have also been updated for compatibility with the new release. Please note that the Workbook Examples 2 has now been divided into two files Workbook Examples 2A and Workbook Examples 2B. You can download these workbooks at Examples Workbooks.

The Real Statistics website will be updated over the course of the next several days to reflect the new capabilities.

Also thanks to all of you who have given donations to help sustain the Real Statistics project. This is most appreciated as are the countless number of people who have identified errors and who have made suggestions to improve the software and website.

The following is a summary of the new features in Release 5.4.

Forecast Accuracy

A new Forecast Accuracy data analysis tool has been added which provides the following new capabilities:

  • Error statistics: Displays the following statistics to measure the size of the error in a forecast: MSE, MAE, RMSE, ME, MPE, MAPE, SMAPE, U1, U2
  • Diebold-Mariano test to determine whether there is a significant difference in the accuracy of two forecasts.
  • Harvey, Leybourne and Newbold (HLN) test which is a refinement of the DM test for small samples
  • Pesaran-Timmermann test which determines whether a forecast is an accurate predictor of the sign of a time series (thanks to Ross)

Supporting these tests are the following new worksheet functions: ForecastError, Forecast_Error, DIEBOLD, DMTEST, HLN, HLNTEST, PESARAN, PTTEST, LossDiff

Enhancements to the Noncentral t Distribution

Improved the accuracy and robustness of the Real Statistics implementation of the noncentral t distribution (thanks to Antonio). This entails enhancements to the following worksheet functions: NT_DIST, NT_INV, NT_NCP, T1_POWER, T2_POWER, T1_SIZE, T2_SIZE

These changes are also implemented in the Statistical Power and Sample Size data analysis tool.

Weibull with Censored Data

Enhanced WEIBULL_FIT to allow fitting a Weibull distribution to data that not only includes data on failures, but also components that have not yet failed at the end of the allotted time (i.e. censored data).

In addition to the changes to WEIBULL_FIT, the following new worksheet functions have been added:

WEIBULL_CMEAN – calculates the mean of data which includes censored data that follows a Weibull distribution

WEIBULL_CVAR – calculates the variance of data which includes censored data that follows a Weibull distribution

Other Weibull Enhancements

The WEIBULL_FITR function, which fits a Weibull distribution to some data using regression, now supports Benard’s approximation. This is now the default, although the previous approach is also supported.

The following new function has also been added:

WEIBULL_MRL – calculates the mean residual life of a component that follows a Weibull distribution which has not yet failed; i.e. the expected MTTF after the component has been activated for some time t0.

Prediction/Confidence Intervals

A new Prediction/Confidence Interval Plot data analysis tool has been added. This data analysis tool plots the prediction and confidence intervals related to a regression model.

Distribution Fitting

A new Distribution Fitting data analysis tool has been added. This tool can be used to estimate distribution parameters for the normal, Weibull, beta, gamma, uniform and exponential distributions.

Correlogram

A new Correlogram data analysis tool has been added that plots correlograms for the ACF and PACF of time series along with their confidence intervals (thanks to Sohrab).

Interpolation

Until this release the default interpolation used for statistical table lookup was harmonic interpolation. This turned out to be a mistake since in many cases linear interpolation is more accurate. But log interpolation turns out to be better still, especially when interpolating between alpha values.

As a result, there are now three interpolation options for the Interpolate function, namely linear (h = 0), log (h = 1) and harmonic (h = 2), where log is now the default. Note that previously the last argument took the values h = TRUE (default) for harmonic and h = FALSE for linear.

The ILookup function has also been revised. Its final argument also took a Boolean value as for Interpolate. This final argument has now been replaced by two final arguments hc and hr, where both hc and hr take the same new values as for Interpolate. hc specifies the interpolation used for columns and hr specifies the interpolation used for rows of a statistical table. This allows, for example, alpha values (in the columns) to use log interpolation, while df values (in the rows) to use harmonic interpolation.

For each statistical table, we offer the user two options for interpolation: interp = FALSE for linear interpolation and interp = TRUE for the recommended interpolation, which may include some combination of the three supported types of interpolations. This will be clearly explained on the website.

As a result, the following worksheet functions have been revised to support the improved approach to interpolation: MCRIT, MPROB, WCRIT, WPROB, DCRIT, DPROB, KSCRIT, KSPROB, KS2CRIT, KS2PROB, SRankCRIT, SRankPROB, ADCRIT, ADPROB, SWTEST, SWPROB, DUpperCRIT, DLowerCRIT, TauCRIT, RhoCRIT, QCRIT, SR_CONF, MANN_CONF

These changes will also be reflected in all the data analysis tools that rely on table lookup.

Other New Worksheet Functions

EXPON_INV – calculates the inverse of the cdf for the exponential distribution

EXPON_FIT – estimates the lambda parameter for the exponential distribution that best fits a data set.

XGAMMA – calculates the gamma function even for negative values (thanks to Antonio)

UpperGamma – calculates the value of the incomplete upper gamma function

LowerGamma – calculates the value of the incomplete lower gamma function

ARIMA

ARIMA support has now been added to the Mac version of the software.

Improved the accuracy of the standard errors of the ARIMA coefficients (thanks to Miloš).

Other Enhancements

  • Improved the speed of the loading of the main menu (i.e. the dialog box that appears when you press Ctrl-m)
  • Reformatted many of the Help dialog boxes which appear when you press the Help button on the various data analysis tools dialog boxes (Windows versions only; the Mac versions will be reformatted in a future release).
  • Added some more worksheet functions to the Insert Function fx capability (Excel 2010 and 2013/2016 Windows version only)
  • Additional error checking has been added to some of the data analysis tools

Bug fixes

  • Fixed an error in the RidgeRSQ function that caused a relatively small error in the result
  • Fixed an error in the ADTEST function (i.e. Anderson-Darling test) for the normal distribution in the case where the AD statistic is between .34 and .60
  • Fixed an error in the Resampling data analysis tool for the independent, paired samples and correlation options